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Money, Banking, and the Financial System R. GLENN HUBBARD COLUMBIA UNIVERSITY ANTHONY PATRICK O’BRIEN LEHIGH UNIVERSITY Prentice Hall Boston Columbus Indianapolis New York San Francisco Upper Saddle River Amsterdam Cape Town Dubai London Madrid Milan Munich Paris Montreal Toronto Delhi Mexico City São Paulo Sydney Hong Kong Seoul Singapore Taipei Tokyo Credits and acknowledgments borrowed from other sources and reproduced, with permission, in this textbook appear on pages C-1 and C-2. Copyright © 2012 Pearson Education, Inc., publishing as Prentice Hall, One Lake Street, Upper Saddle River, NJ 07458. All rights reserved. Manufactured in the United States of America. This publication is protected by Copyright, and permission should be obtained from the publisher prior to any prohibited reproduction, storage in a retrieval system, or transmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. To obtain permission(s) to use material from this work, please submit a written request to Pearson Education, Inc., Permissions Department, 501 Boylston Street, Suite 900, Boston, MA 02116, fax your request to 617-671-3447, or e-mail at http://www.pearsoned.com/legal/permission.htm. Many of the designations by manufacturers and sellers to distinguish their products are claimed as trademarks. Where those designations appear in this book, and the publisher was aware of a trademark claim, the designations have been printed in initial caps or all caps. Library of Congress Cataloging-in-Publication Data Hubbard, R. Glenn. Money, banking, and the financial system / R. Glenn Hubbard, Anthony Patrick O’Brien. — 1st ed. p. cm. Includes index. ISBN 978-0-13-255345-2 1. Money. 2. Banks and banking. 3. International finance. 4. Monetary policy. I. O’Brien, Anthony Patrick. II. Title. HG221.H833 2012 332.1—dc22 2010041657 10 9 8 7 6 5 4 3 2 1 Dedication For Constance, Raph, and Will —R. Glenn Hubbard For Cindy, Matthew, Andrew, and Daniel —Anthony Patrick O’Brien Editorial Director: Sally Yagan Editor in Chief: Donna Battista Executive Editor: David Alexander Executive Development Editor: Lena Buonanno VP/Director of Development: Stephen Deitmer Editorial Project Manager: Lindsey Sloan Director of Marketing: Patrice Jones Managing Editor: Nancy Fenton Production Project Manager: Carla Thompson Manufacturing Director: Evelyn Beaton Senior Manufacturing Buyer: Carol Melville Creative Director: Christy Mahon Senior Art Director: Jonathan Boylan Permissions Project Supervisor: Michael Joyce Executive Media Producer: Melissa Honig MyEconLab Content Lead: Noel Lotz Associate Production Project Manager: Alison Eusden Full-Service Project Management: PreMediaGlobal, Inc. Composition: PreMediaGlobal, Inc. Printer/Binder: R.R. Donnelley/Willard Cover Printer: Lehigh-Phoenix Color/Hagerstown Text Font: Minion ISBN 10: 0-13-255345-7 ISBN 13: 978-0-13-255345-2 About the Authors Glenn Hubbard, Professor, Researcher, and Policymaker R. Glenn Hubbard is the dean and Russell L. Carson Professor of Finance and Economics in the Graduate School of Business at Columbia University and professor of economics in Columbia’s Faculty of Arts and Sciences. He is also a research associate of the National Bureau of Economic Research and a director of Automatic Data Processing, Black Rock Closed-End Funds, KKR Financial Corporation, and MetLife. He received his Ph.D. in economics from Harvard University in 1983. From 2001 to 2003, he served as chairman of the White House Council of Economic Advisers and chairman of the OECD Economy Policy Committee, and from 1991 to 1993, he was deputy assistant secretary of the U.S. Treasury Department. He currently serves as co-chair of the nonpartisan Committee on Capital Markets Regulation and the Corporate Boards Study Group. Hubbard’s fields of specialization are public economics, financial markets and institu- tions, corporate finance, macroeconomics, industrial organization, and public policy. He is the author of more than 100 articles in leading journals, including American Economic Review, Brookings Papers on Economic Activity, Journal of Finance, Journal of Financial Economics, Journal of Money, Credit, and Banking, Journal of Political Economy, Journal of Public Economics, Quarterly Journal of Economics, RAND Journal of Economics, and Review of Economics and Statistics. His research has been supported by grants from the National Science Foundation, the National Bureau of Economic Research, and numerous private foundations. Tony O’Brien, Award-Winning Professor and Researcher Anthony Patrick O’Brien is a professor of economics at Lehigh University. He received a Ph.D. from the University of California, Berkeley, in 1987. He has taught principles of eco- nomics for more than 15 years, in both large sections and small honors classes. He received the Lehigh University Award for Distinguished Teaching. He was formerly the director of the Diamond Center for Economic Education and was named a Dana Foundation Faculty Fellow and Lehigh Class of 1961 Professor of Economics. He has been a visiting professor at the University of California, Santa Barbara, and the Graduate School of Industrial Administration at Carnegie Mellon University. O’Brien’s research has dealt with such issues as the evolution of the U.S. automobile industry, sources of U.S. economic competitiveness, the development of U.S. trade policy, the causes of the Great Depression, and the causes of black-white income differences. His research has been published in leading journals, including American Economic Review, Quarterly Journal of Economics, Journal of Money, Credit, and Banking, Industrial Relations, Journal of Economic History, Explorations in Economic History, and the Journal of Policy History. His research has been supported by grants from government agencies and private foun- dations. In addition to teaching and writing, O’Brien also serves on the editorial board of the Journal of Socio-Economics. iii iv Brief Contents Part 1: Foundations Chapter 1 Introducing Money and the Financial System 1 Chapter 2 Money and the Payments System 25 Part 2: Financial Markets Chapter 3 Interest Rates and Rates of Return 51 Chapter 4 Determining Interest Rates 87 Chapter 5 The Risk Structure and Term Structure of Interest Rates 123 Chapter 6 The Stock Market, Information, and Financial Market Efficiency 156 Chapter 7 Derivatives and Derivative Markets 189 Part 3: Financial Institutions Chapter 8 The Market for Foreign Exchange 224 Chapter 9 Transactions Costs, Asymmetric Information, and the Structure of the Financial System 252 Chapter 10 The Economics of Banking 279 Chapter 11 Investment Banks, Mutual Funds, Hedge Funds, and the Shadow Banking System 314 Chapter 12 Financial Crises and Financial Regulation 347 Part 4: Monetary Policy Chapter 13 The Federal Reserve and Central Banking 384 Chapter 14 The Federal Reserve’s Balance Sheet and the Money Supply Process 411 Chapter 15 Monetary Policy 442 Chapter 16 The International Financial System and Monetary Policy 481 Part 5: The Financial System and the Macroeconomy Chapter 17 Monetary Theory I: The Aggregate Demand and Aggregate Supply Model 514 Chapter 18 Monetary Theory II: The IS–MP Model 546 Glossary G-1 Index I-1 Credits C-1 Contents Chapter 1 Introducing Money and the Financial System 1 CAN THE FED RESTORE THE FLOW OF MONEY? . 1 1.1 Key Components of the Financial System . 2 Financial Assets . 2 Financial Institutions 4 Making the Connection: Pawn Shop Finance: What Happens to Small Businesses When Bank Lending Dries Up? 5 Making the Connection: What Do People Do With Their Savings? 9 The Federal Reserve and Other Financial Regulators 10 What Does the Financial System Do? . 12 Solved Problem 1.1: The Services Provided by Securitized Loans 13 1.2 The Financial Crisis of 2007–2009 14 Origins of the Financial Crisis . 14 The Deepening Crisis and the Response of the Fed and Treasury . 16 1.3 Key Issues and Questions from the Financial Crisis . 17 An Inside Look at Policy: Fed Ready to Help Economy, But Options Are Limited 20 *Chapter Summary and Problems . 22 *Key Terms and Concepts, Review Questions, *Problems and Applications, Data Exercise *These end-of-chapter resource materials repeat in all chapters. Chapter 2 Money and the Payments System 25 THE FEDERAL RESERVE FIGHTS TO PRESERVE ITS INDEPENDENCE 25 Key Issue and Question 25 2.1 Do We Need Money? . 26 Barter . 26 The Invention of Money . 27 Making the Connection: What’s Money? Ask a Taxi Driver! 27 2.2 The Key Functions of Money 28 Medium of Exchange . 28 Unit of Account 28 Store of Value . 29 Standard of Deferred Payment . 29 Distinguishing Among Money, Income, and Wealth . 29 What Can Serve as Money? . 29 The Mystery of Fiat Money 30 Making the Connection: Apple Didn’t Want My Cash! 30 2.3 The Payments System . 31 The Transition from Commodity Money to Fiat Money 31 v vi CONTENTS The Importance of Checks 31 Electronic Funds and Electronic Cash 32 2.4 Measuring the Money Supply . 33 Measuring Monetary Aggregates . 33 Making the Connection: Show Me the Money! 35 Does It Matter Which Definition of the Money Supply We Use? . 36 2.5 The Quantity Theory of Money: A First Look at the Link Between Money and Prices . 37 Irving Fisher and the Equation of Exchange 37 The Quantity Theory Explanation of Inflation 38 Solved Problem 2.5: The Relationship Between Money and Income . 38 How Accurate Are Forecasts of Inflation Based on the Quantity Theory? . 39 The Hazards of Hyperinflation 39 What Causes Hyperinflation? . 40 Making the Connection: Deutsche Bank During the German Hyperinflation 41 Should Central Banks Be Independent? 42 Answering the Key Question 43 An Inside Look at Policy: Its Independence Was Threatened, but New Law Grants the Fed New Powers 44 Chapter 3 Interest Rates and Rates of Return 51 BANKS IN TROUBLE . 51 Key Issue and Question 51 3.1 The Interest Rate, Present Value, and Future Value . 52 Why Do Lenders Charge Interest on Loans? . 52 Most Financial Transactions Involve Payments in the Future 53 Compounding and Discounting 53 Solved Problem 3.1A: Comparing Investments 55 Solved Problem 3.1B: Valuing a Contract 57 Discounting and the Prices of Financial Assets 59 3.2 Debt Instruments and Their Prices . 59 Loans, Bonds, and the Timing of Payments 59 Making the Connection: Do You Want the Principal or Do You Want the Interest? Creating New Financial Instruments 62 3.3 Bond Prices and Yield to Maturity . 62 Bond Prices .62 Yield to Maturity . 63 Yields to Maturity on Other Debt Instruments 64 Solved Problem 3.3: Yield to Maturity for Different Types of Debt Instruments 66 3.4 The Inverse Relationship Between Bond Prices and Bond Yields . 67 What Happens to Bond Prices When Interest Rates Change? . 67 Making the Connection: Banks Take a Bath on Mortgage-Backed Bonds 68 Bond Prices and Yields to Maturity Move in Opposite Directions . 69 Secondary Markets, Arbitrage, and the Law of One Price 69 Making the Connection: Reading the Bond Tables in the Wall Street Journal 70 CONTENTS vii 3.5 Interest Rates and Rates of Return 72 A General Equation for the Rate of Return . 73 Interest-Rate Risk and Maturity 73 3.6 Nominal Interest Rates Versus Real Interest Rates 74 Answering the Key Question 77 An Inside Look at Policy: Higher Interest Rates Increase Coupons, Decrease Capital Gains 78 Chapter 4 Determining Interest Rates 87 IF INFLATION INCREASES, ARE BONDS A GOOD INVESTMENT? . 87 Key Issue and Question 87 4.1 How to Build an Investment Portfolio 88 The Determinants of Portfolio Choice 88 Making the Connection: Fear the Black Swan! 90 Diversification .92 Making the Connection: How Much Risk Should You Tolerate in Your Portfolio? 93 4.2 Market Interest Rates and the Demand and Supply for Bonds . 94 A Demand and Supply Graph of the Bond Market . 94 Explaining Changes in Equilibrium Interest Rates 96 Factors That Shift the Demand Curve for Bonds . 96 Factors That Shift the Supply Curve for Bonds 100 4.3 The Bond Market Model and Changes in Interest Rates 102 Why Do Interest Rates Fall During Recessions? 102 How Do Changes in Expected Inflation Affect Interest Rates? The Fisher Effect . 104 Solved Problem 4.3: Why Worry About Falling Bond Prices When the Inflation Rate Is Low? 106 4.4 The Loanable Funds Model and the International Capital Market 107 The Demand and Supply of Loanable Funds 107 Equilibrium in the Bond Market from the Loanable Funds Perspective . 109 The International Capital Market and the Interest Rate 110 Small Open Economy . 110 Large Open Economy . 112 Making the Connection: Did a Global “Saving Glut” Cause the U.S. Housing Boom? 113 Answering the Key Question 115 An Inside Look at Policy: Investors Forecast Lower Bond Prices, Higher Interest Rates 116 Chapter 5 The Risk Structure and Term Structure of Interest Rates 123 WHY INVEST IN TREASURY BILLS IF THEIR INTEREST RATES ARE SO LOW? . 123 Key Issue and Question 123 5.1 The Risk Structure of Interest Rates 124 Default Risk 124 Making the Connection: Do Credit Rating Agencies Have a Conflict of Interest? 127 viii CONTENTS Liquidity and Information Costs 129 Tax Treatment 129 Solved Problem 5.1: How Would a VAT Affect Interest Rates? 131 Making the Connection: Is the U.S. Treasury Likely to Default on Its Bonds? 134 5.2 The Term Structure of Interest Rates . 135 Making the Connection: Negative Interest Rates on Treasury Bills? 136 Explaining the Term Structure . 137 The Expectations Theory of the Term Structure 137 Solved Problem 5.2A: Is There Easy Money to Be Made from the Term Structure? 141 The Segmented Markets Theory of the Term Structure . 142 The Liquidity Premium Theory 143 Solved Problem 5.2B: Using the Liquidity Premium Theory to Calculate Expected Interest Rates 144 Using the Term Structure to Forecast Economic Variables . 145 Answering the Key Question 147 An Inside Look at Policy: Executives from Moody’s, Standard and Poor’s Describe Pressure to Grant High Ratings 148 Chapter 6 The Stock Market, Information, and Financial Market Efficiency 156 WHY ARE STOCK PRICES SO VOLATILE? 156 Key Issue and Question 156 6.1 Stocks and the Stock Market . 157 Common Stock Versus Preferred Stock . 158 How and Where Stocks Are Bought and Sold . 158 Measuring the Performance of the Stock Market . 159 Does the Performance of the Stock Market Matter to the Economy? . 160 Making the Connection: Are You Still Willing to Invest in the U.S. Stock Market? 161 6.2 How Stock Prices Are Determined . 163 Investing in Stock for One Year 163 The Rate of Return on a One-Year Investment in a Stock 164 Making the Connection: How Should the Government Tax Dividends and Capital Gains? 164 The Fundamental Value of Stock 165 The Gordon Growth Model 166 Solved Problem 6.2: Using the Gordon Growth Model 167 6.3 Rational Expectations and Efficient Markets . 168 Adaptive Expectations Versus Rational Expectations . 168 The Efficient Markets Hypothesis 169 Are Stock Prices Predictable? 171 Efficient Markets and Investment Strategies . 171 Making the Connection: Who Are You Going to Believe: Me or a Dart-Throwing Monkey? 172 Solved Problem 6.3: Are Investment Analysts Useless? 173 6.4 Actual Efficiency in Financial Markets 174 Pricing Anomalies . 174 CONTENTS ix Mean Reversion 176 Excess Volatility . 176 Making the Connection: Does the Financial Crisis of 2007–2009 Disprove the Efficient Markets Theory? 176 6.5 Behavioral Finance . 177 Noise Trading and Bubbles 178 How Great a Challenge Is Behavioral Finance to the Efficient Markets Hypothesis? . 179 Answering the Key Question 179 An Inside Look: Prices Rally but Individual Investors Still Avoid Stocks 180 Chapter 7 Derivatives and Derivative Markets 189 HOW DANGEROUS ARE FINANCIAL DERIVATIVES? . 189 Key Issue and Question 189 7.1 Derivatives, Hedging, and Speculating . 190 7.2 Forward Contracts 191 7.3 Futures Contracts . 192 Hedging with Commodity Futures 193 Making the Connection: Should Farmers Be Afraid of the Dodd-Frank Act? 195 Speculating with Commodity Futures . 196 Hedging and Speculating with Financial Futures . 196 Making the Connection: Reading the Financial Futures Listings 197 Solved Problem 7.3: Hedging When Interest Rates Are Low 198 Trading in the Futures Market 199 7.4 Options 200 Why Might You Buy or Sell an Option? 201 Option Pricing and the Rise of the “Quants” . 203 Making the Connection: Reading the Options Listings 204 Solved Problem 7.4: Interpreting the Options Listings 205 Using Options to Manage Risk . 206 Making the Connection: Vexed by the VIX! 207 7.5 Swaps 208 Interest-Rate Swaps 208 Currency Swaps and Credit Swaps 209 Credit Default Swaps 210 Making the Connection: Are Derivatives “Financial Weapons of Mass Destruction”? 211 Answering the Key Question 213 An Inside Look at Policy: Traders Uncertain About Impact of New Derivatives Rules 214 Chapter 8 The Market for Foreign Exchange 224 WHY WOULD THE U.S. FEDERAL RESERVE LEND DOLLARS TO FOREIGN CENTRAL BANKS? 224 Key Issue and Question 224 8.1 Exchange Rates and Trade . 225 Making the Connection: What’s the Most Important Factor in Determining Sony’s Profits? 226